FxBsData Class Reference

FX Model Parameters. More...

#include <ored/model/fxbsdata.hpp>

Public Member Functions
	FxBsData ()
	Default constructor.
	FxBsData (std::string foreignCcy, std::string domesticCcy, CalibrationType calibrationType, bool calibrateSigma, ParamType sigmaType, const std::vector< Time > &sigmaTimes, const std::vector< Real > &sigmaValues, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
	Detailed constructor.
Setters/Getters
const std::string &	foreignCcy () const
std::string &	foreignCcy ()
const std::string &	domesticCcy () const
std::string &	domesticCcy ()
CalibrationType &	calibrationType ()
bool &	calibrateSigma ()
ParamType &	sigmaParamType ()
std::vector< Time > &	sigmaTimes ()
std::vector< Real > &	sigmaValues ()
std::vector< std::string > &	optionExpiries ()
std::vector< std::string > &	optionStrikes ()
Serialisation
void	fromXML (XMLNode *node)
XMLNode *	toXML (XMLDocument &doc)

Operators
bool	operator== (const FxBsData &rhs)
bool	operator!= (const FxBsData &rhs)

Detailed Description

FX Model Parameters.

Specification for a FX model component in the Cross Ccy LGM (i.e. lognormal FX with stochastic IR differential). The specification applies to the volatility component (sigma) of the FX model only.